Report NEP-ECM-2014-03-30

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Bin Peng & Giovanni Forchini, 2014. "Consistent Estimation of Panel Data Models with a Multifactor Error Structure when the Cross Section Dimension is Large," Working Paper Series 20, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
• Susanne M. Schennach & Daniel Wilhelm, 2014. "A simple parametric model selection test," CeMMAP working papers CWP10/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Chong, Terence Tai Leung & Yan, Isabel K., 2014. "Estimating and Testing Threshold Regression Models with Multiple Threshold Variables," MPRA Paper 54732, University Library of Munich, Germany.
• Donayre, Luiggi & Eo, Yunjong & Morley, James, 2014. "Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples," Working Papers 2014-04, University of Sydney, School of Economics.
• Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2014. "Nonparametric estimation of finite measures," CeMMAP working papers CWP11/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Christophe Ley & Anouk Neven, 2013. "Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation," Working Papers ECARES ECARES 2013-26, ULB -- Universite Libre de Bruxelles.
• Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers CWP15/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Giorgio Calzolari & Antonino Di Pino, 2014. "Self-Selection and Direct Estimation of Across-Regime Correlation Parameter," Econometrics Working Papers Archive 2014_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Jean-François Carpantier, 2014. "Specific Markov-switching behaviour for ARMA parameters," DEM Discussion Paper Series 14-07, Department of Economics at the University of Luxembourg.
• Tobias Kley & Stanislav Volgushev & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Processes: Asymptotic Analysis and Inference," Working Papers ECARES ECARES 2014-07, ULB -- Universite Libre de Bruxelles.
• Bertrand Candelon & Sessi Tokpavi, 2014. "A Nonparametric Test for Grangercausality in Distribution with Application to Financial Contagion," Working Papers 2014-162, Department of Research, Ipag Business School.
• Davy Paindaveine & Thomas Verdebout, 2013. "Optimal Rank-Based Tests for the Location Parameter of a Rotationally Symmetric Distribution on the Hypersphere," Working Papers ECARES ECARES 2013-36, ULB -- Universite Libre de Bruxelles.
• Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers CWP06/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• McCAUSLAND, William & MARLEY, A. A. J., 2013. "Bayesian inference and model comparison for ramdom choice structures," Cahiers de recherche 2013-06, Universite de Montreal, Departement de sciences economiques.
• Pan, Li & Politis, Dimitris N, 2014. "Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions," University of California at San Diego, Economics Working Paper Series qt67h5s74t, Department of Economics, UC San Diego.
• Richey, Jeremiah, 2013. "An Odd Couple: Monotone Instrumental Variables and Binary Treatments," MPRA Paper 54785, University Library of Munich, Germany, revised 06 Nov 2013.
• Davy Paindaveine & Thomas Verdebout, 2013. "Universal Asymptotics for High-Dimensional Sign Tests," Working Papers ECARES ECARES 2013-40, ULB -- Universite Libre de Bruxelles.
• Marc Hallin & Ramon van den Akker & Bas Werker, 2013. "On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result," Working Papers ECARES ECARES 2013-34, ULB -- Universite Libre de Bruxelles.
• Paul E. Carrillo & Jonathan Rothbaum, 2014. "Counterfactual Spatial Distributions," Working Papers 2014-05, The George Washington University, Institute for International Economic Policy.
• Abdelkamel Alj & Rajae Azrak & Guy Melard, 2014. "On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version," Working Papers ECARES ECARES 2014-05, ULB -- Universite Libre de Bruxelles.
• Leopold Simar & Ingrid Van Keilegom & Valentin Zelenyuk, 2014. "Nonparametric Least Squares Methods for Stochastic Frontier Models," CEPA Working Papers Series WP032014, School of Economics, University of Queensland, Australia.
• Stephen Pollock, 2014. "Econometric Filters," Discussion Papers in Economics 14/07, Division of Economics, School of Business, University of Leicester.
• Bertrand Candelon & Christophe Hurlin & Elena Dumitnescu, 2014. "Currency Crisis Early Warning Systems: Why They should be Dynamic," Working Papers 2014-161, Department of Research, Ipag Business School.
• Davy Paindaveine & Germain Van Bever, 2013. "Inference on the Shape of Elliptical Distribution Based on the MCD," Working Papers ECARES ECARES 2013-27, ULB -- Universite Libre de Bruxelles.
• Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
• Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
• Demuynck, T., 2014. "Statistical inference for measures of predictive success," Research Memorandum 009, Maastricht University, Graduate School of Business and Economics (GSBE).
• Christophe Ley & Camille Sabbah & Thomas Verdebout, 2014. "A new concept of quantiles for directional data and the angular Mahalanobis depth," Working Papers ECARES ECARES 2013-23, ULB -- Universite Libre de Bruxelles.